Place eggplant, zucchini, red bell pepper and onion on baking sheet. Drizzle with oil and sprinkle with salt and pepper; turn to coat.

Grill vegetables over medium high heat until tender and tinged with brown, turning frequently, about 6 minutes for eggplant and zucchini and about 10 minutes for red bell pepper and onion. Transfer to serving platter and sprinkle top with cheese.